Greeks.Live & Deribit Options Market Observation 0709— Cheaper Premiums
3 min readJul 9, 2020



Bitcoin rose quickly from $9,300 to $9,450 last night and then continued into sideways. Because the volatility is too low, the sellers are hard to hedge their positions. The market is just not a good deal for the sellers.

This report is jointly published by Deribit and Greeks.Live.

【Performance of the underlying assets】

BTC historical volatility:

7d 26.28%

14d 25.02%

30d 36.84%

60d 51.97%

1Y 84.94%

ETH historical volatility:

7d 46.66%

14d 45.96%

30d 52.25%

60d 61.11%

1Y 103.35%

Options market data shows that historical volatility is consistently low.For such a market, the seller is actually tougher, because expected profits are not enough for the move.

【BTC Options】

BTC options open interest was down slightly at $961 million.

The implied volatility (IV) of each standardized expiry date is as follows:

Today: 1m 55%, 3m 66%, 6m 72%

7/8: 1m 53%, 3m 65%, 6m 71%

Short-term implied volatility is creeping up and medium- and long-term IVs are almost going in a horizontal straight line.

Figure 1: BTC ATM IV


Today:1m +5.6%, 3m +4.4%, 6m +4.1%

7/8: 1m +3.1%, 3m+3.6%, 6m +3.7%

Skew is stable, which is moving closer to +5%. All data shows the market is stable.

Figure 2: BTC 25d skew


The Put/Call Ratio is 0.51.

Figure 3: BTC Put/Call Ratios

In terms of position changes, the market volume is stable, and small price movements do not affect the market.

Figure 4: BTC IO Change

Every time the price of Bitcoin goes up, someone will buy OTM put option.

Figure 5: BTC OI by Strike
Figure 6: BTC OI by expire

【ETH Options】

ETH options open interest is USD 154 million.

Trading volumes are stable.

The IV of each standardized expiry date:

Today: 1m 59%,3m 70%,6m 76%

7/8: 1m 56%,3m 68%,6m 75%

There was a small positive line today and implied volatility was up a bit.


Today: 1m +7.1%, 3m +9.7%, 6m +6.8%

7/8: 1m +4.5%, 3m +10.1%, 6m +5.6%

Have a good time.

Jeff Liang

CEO of Greeks.Live

July 9, 2020